A Market Model of Interest Rates with Dynamic Basis Spreads in the presence of Collateral and Multiple Currencies

The recent financial crisis caused dramatic widening and elevated volatilities among basis spreads in cross currency as well as domestic interest rate markets. Furthermore, the wide spread use of cash collateral, especially in fixed income contracts, has made the effective funding cost of financial institutions for the trades significantly different from the Libor of the corresponding payment currency. Because of these market developments, the text-book style application of a market model of interest rates has now become inappropriate for financial firms; It cannot even reflect the exposures to these basis spreads in pricing, to say nothing of proper delta and vega (or kappa) hedges against their movements. This paper presents a new framework of the market model to address all these issues.

A Note on Construction of Multiple Swap Curves with and without Collateral

There are now available wide variety of swap products which exchange Libors with different currencies and tenors. Furthermore, the collateralization is becoming more and more popular due to the increased attention to the counter party credit risk. These developments require clear distinction among different type of Libors and the discounting rates. In this brief note, we will explain the method to construct the multiple swap curves consistently with all the relevant swaps with and without a collateral agreement.

Collateral Posting and Choice of Collateral Currency -Implications for Derivative Pricing and Risk Management-

In recent years, we have observed the dramatic increase of the use of collateral as an important credit risk mitigation tool. It has become even rare to make a contract without collateral agreement among the major financial institutions. In addition to the significant reduction of the counterparty exposure, collateralization has important implications for the pricing of derivatives through the change of effective funding cost. This paper has demonstrated the impact of collateralization on the derivative pricing by constructing the term structure of swap rates based on the actual market data. It has also shown the importance of the ?choice? of collateral currency. Especially, when the contract allows multiple currencies as eligible collateral and free replacement among them, the paper has found that the embedded ?cheapest-to-deliver? option can be quite valuable and significantly change the fair value of a trade. The implications of these findings for market risk management have been also discussed.

"A Note on Construction of Multiple Swap Curves with and without Collateral"

There are now available wide variety of swap products which exchange Libors with different currencies and tenors. Furthermore, the collateralization is becoming more and more popular due to the increased attention to the counter party credit risk. These developments require clear distinction among different type of Libors and the discounting rates. In this brief note, we will explain the method to construct the multiple swap curves consistently with all the relevant swaps with and without a collateral agreement.

"Collateral Posting and Choice of Collateral Currency - Implications for Derivative Pricing and Risk Management-"

In recent years, we have observed the dramatic increase of the use of collateral as an important credit risk mitigation tool. It has become even rare to make a contract without collateral agreement among the major financial institutions. In addition to the significant reduction of the counterparty exposure, collateralization has important implications for the pricing of derivatives through the change of effective funding cost. This paper has demonstrated the impact of collateralization on the derivative pricing by constructing the term structure of swap rates based on the actual market data. It has also shown the importance of the "choice" of collateral currency. Especially, when the contract allows multiple currencies as eligible collateral and free replacement among them, the paper has found that the embedded "cheapest-to-deliver" option can be quite valuable and significantly change the fair value of a trade. The implications of these findings for market risk management have been also discussed.

A MODEL FOR ANALYSIS OF THE IMPACT BETWEEN A TENNIS RACKET AND A BALL

The purpose of this study is to determine the validity of a vibration model designed to elucidate the impact between tennis rackets and balls. Generally, a vibration model consists of elasticity and viscosity. A rod was added to the existing model to indicate the contact point on the racket face because vibration changes depend on the position of impact. Comparing the results of the model‟s simulation and the physical experiment that was performed, it was found that the model was appropriate with regards to amplitude and frequency of vibrations. Using such a model, it should be possible to modify the characteristics of rackets. This will be beneficial, not only for racket selection, but also for new design

SIMULATION OF BALL HANDLING IN OVERHEAD PASSING IN VOLLEYBALL

The purpose of this study was to obtain basic data to be used for teaching ball handling in overhead passing in volleyball. The method used was simulation of a mass-elasticity-viscosity model consisting of arms, hands and ball. First, the acceleration of the ball was calculated during contact with the hands through means of VTR images. As a result of comparing this acceleration with that of the simulation of the model, it was found to be appropriate, and the coefficients of elasticity and viscosity were sufficient. The coefficients indicated that a skilled player changes hand elasticity depending on the height of set up. This is the reason that skilled players can control the ball with a greater degree of accuracy. On the other hand, unskilled players can not change hand elasticity as easily, which affects their control of the ball

4-bit Bipolar Triangle Voltage Waveform Generator Using Single-Flux-Quantum Circuit

AbstractSFQ digital-to-analog converters (DACs) are one of the candidates for AC voltage standards. We have proposed SFQ-DACs based on frequency modulation (FM). Bipolar output is required for applications of AC voltage standards, while our previous SFQ-DACs generated only positive voltages. In this paper, we present our design of a 4-bit bipolar triangle voltage waveform generator comprising an SFQ-DAC. The waveform generator has two output ports. Synthesized half-period waveforms are alternately generated in one of the output ports. The bipolar output is realized by observing the differential voltage between the ports. We confirmed a 72-μVPP bipolar triangle voltage waveform at the frequency of 35.7Hz

Hyperhomocysteinemia induced by excessive methionine intake promotes rupture of cerebral aneurysms in ovariectomized rats.

BackgroundHyperhomocysteinemia (HHcy) is associated with inflammation and a rise in the expression of matrix metalloproteinase-9 (MMP-9) in the vascular wall. However, the role of HHcy in the growth and rupture of cerebral aneurysms remains unclear.MethodsThirteen-week-old female Sprague-Dawley rats were subject to bilateral ovariectomy and ligation of the right common carotid artery and fed an 8 % high-salt diet to induce cerebral aneurysms. Two weeks later, they underwent ligation of the bilateral posterior renal arteries. They were divided into two groups and methionine (MET) was or was not added to their drinking water. In another set of experiments, the role of folic acid (FA) against cerebral aneurysms was assessed.ResultsDuring a 12-week observation period, subarachnoid hemorrhage due to aneurysm rupture was observed at the anterior communicating artery (AcomA) or the posterior half of the circle of Willis. HHcy induced by excessive MET intake significantly increased the incidence of ruptured aneurysms at 6-8 weeks. At the AcomA of rats treated with MET, we observed the promotion of aneurysmal growth and infiltration by M1 macrophages. Furthermore, the mRNA level of MMP-9, the ratio of MMP-9 to the tissue inhibitor of metalloproteinase-2, and the level of interleukin-6 were higher in these rats. Treatment with FA abolished the effect of MET, suggesting that the inflammatory response and vascular degradation at the AcomA is attributable to HHcy due to excessive MET intake.ConclusionsWe first demonstrate that in hypertensive ovariectomized rats, HHcy induced by excessive MET intake may be associated with the propensity of the aneurysm wall to rupture

Ground-state properties of neutron-rich Mg isotopes

We analyze recently-measured total reaction cross sections for 24-38Mg isotopes incident on 12C targets at 240 MeV/nucleon by using the folding model and antisymmetrized molecular dynamics(AMD). The folding model well reproduces the measured reaction cross sections, when the projectile densities are evaluated by the deformed Woods-Saxon (def-WS) model with AMD deformation. Matter radii of 24-38Mg are then deduced from the measured reaction cross sections by fine-tuning the parameters of the def-WS model. The deduced matter radii are largely enhanced by nuclear deformation. Fully-microscopic AMD calculations with no free parameter well reproduce the deduced matter radii for 24-36Mg, but still considerably underestimate them for 37,38Mg. The large matter radii suggest that 37,38Mg are candidates for deformed halo nucleus. AMD also reproduces other existing measured ground-state properties (spin-parity, total binding energy, and one-neutron separation energy) of Mg isotopes. Neutron-number (N) dependence of deformation parameter is predicted by AMD. Large deformation is seen from 31Mg with N = 19 to a drip-line nucleus 40Mg with N = 28, indicating that both the N = 20 and 28 magicities disappear. N dependence of neutron skin thickness is also predicted by AMD.Comment: 15 pages, 13 figures, to be published in Phys. Rev.